Guillaume Roussellet

Staying at zero with affine processes: An application to term structure modelling

Published: 2Oct2017

Authors: Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet Publication: Journal of Econometrics, Vol. 201, No. 2, 2017, pp. 348-366. Abstract:

Scenario generation for long run interest rate risk assessment

Published: 3Oct2017

Authors: Robert Engle, Guillaume Roussellet, Emil Siriwardane Publication: Journal of Econometrics, Vol. 201, No. 2, December 2017 Abstract: